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Early News Is Good News. The Effects of Market Opening on Market Volatility

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Author Info
Gallo, G.M.
Pacini, B.

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Abstract

In this paper we eamine the characteristics of market opening news and its impact on the estimated coefficients of the conditional volatility model of the GARCH class.

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Publisher Info
Paper provided by European University Institute in its series Economics Working Papers with number eco98/3.

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Length: 27 pages
Date of creation: 1998
Date of revision:
Handle: RePEc:eui:euiwps:eco98/3

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Related research
Keywords: VOLATILITY ; ECONOMIC MODELS ; FORECASTS;

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Find related papers by JEL classification:
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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  1. Giampiero M. Gallo & Yongmiao Hong & Tae-Why Lee, 2001. "Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns," Econometrics Working Papers Archive wp2001_03, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
  2. Paola Zuccolotto, 2002. "Modelling the impact of open volume on inter-trade autoregressive durations," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3-4), pages 49-63. [Downloadable!]
  3. Giampiero M. Gallo, 2001. "Modelling the Impact of Overnight Surprises on Intra-daily Volatility," Econometrics Working Papers Archive wp2001_02, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
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